Strategy - FX


Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.

This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 46.00
NoOfWins 34.00
NoOfLosses 12.00
SharpRatio 1.08
SortinoRatio 1.32
GrossProfit $106466.09
FirstDate 2010-01-29
LastDate 2021-08-31
FirstEquity $10000.00
FinalEquity $116466.09
OpenEquity $99546.90
LongEquity $106466.09
ShortEquity $0.00
PercentWins 73.91%
AveWin $3288.45
AveLoss $-445.09
AveWinLoss 7.39
Expectancy 7.34%
AveDrawUp 43.94%
AveDrawDown -10.83%
MaxDrawDown -24.99%
Kelly 70.38%
Thrope 86.53
APR 23.60%
CalmarRatio 2.18

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPY 2010-01-29 2010-02-26 $85.70 $88.37 Long 99.0 3.12% 1496.61 10264.66
QQQ 2010-02-26 2010-06-30 $40.04 $38.32 Long 219.0 -4.30% 1434.98 9888.07
UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 413.0 -1.88% 1478.29 9729.49
FXY 2010-07-30 2010-08-31 $114.60 $117.83 Long 72.0 2.82% 1457.87 9962.05
UBT 2010-08-31 2010-09-30 $23.56 $22.31 Long 361.0 -5.28% 1458.10 9512.75
FXA 2010-09-30 2010-10-29 $82.19 $83.53 Long 98.0 1.64% 1408.54 9644.51
FXY 2010-10-29 2010-11-30 $122.93 $118.16 Long 67.0 -3.88% 1363.05 9325.26
QQQ 2010-11-30 2011-03-31 $46.84 $51.82 Long 170.0 10.64% 1503.84 10172.20
SPY 2011-03-31 2011-04-29 $108.35 $111.49 Long 80.0 2.90% 1559.68 10423.25
FXA 2011-04-29 2011-05-31 $95.31 $93.12 Long 93.0 -2.29% 1513.90 10219.90
FXF 2011-05-31 2011-07-29 $116.08 $125.79 Long 75.0 8.36% 1604.03 10948.15
UBT 2011-07-29 2012-01-31 $20.27 $30.96 Long 461.0 52.75% 2347.60 15877.51
QQQ 2012-01-31 2012-09-28 $55.00 $62.73 Long 246.0 14.06% 2606.80 17779.44
SPY 2012-09-28 2013-07-31 $121.38 $144.65 Long 125.0 19.17% 3025.46 20688.57
QQQ 2013-07-31 2014-03-31 $70.09 $82.13 Long 252.0 17.17% 3544.15 23721.34
SPY 2014-03-31 2014-05-30 $162.72 $167.65 Long 124.0 3.03% 3533.32 24333.10
UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 696.0 -0.57% 3574.15 24214.86
QQQ 2014-06-30 2014-07-31 $88.21 $89.25 Long 234.0 1.18% 3564.55 24458.83
UBT 2014-07-31 2014-08-29 $30.15 $32.78 Long 693.0 8.72% 3880.27 26279.78
QQQ 2014-08-29 2014-09-30 $93.72 $93.01 Long 239.0 -0.76% 3802.14 26110.28
UBT 2014-09-30 2014-10-31 $31.51 $33.32 Long 708.0 5.76% 4004.68 27394.82
QQQ 2014-10-31 2015-06-30 $95.47 $101.65 Long 245.0 6.47% 4286.50 28908.43
FXF 2015-06-30 2015-07-31 $103.89 $100.46 Long 237.0 -3.30% 4076.09 28095.50
UBT 2015-07-31 2016-03-31 $35.74 $41.26 Long 672.0 15.44% 4629.73 31802.91
FXA 2016-03-31 2016-04-29 $74.45 $73.89 Long 365.0 -0.75% 4591.59 31597.80
FXY 2016-04-29 2016-06-30 $90.93 $93.58 Long 297.0 2.91% 4726.61 32384.85
UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 594.0 4.34% 4888.78 33585.91
FXY 2016-07-29 2016-08-31 $94.71 $93.35 Long 303.0 -1.44% 4890.75 33173.83
QQQ 2016-08-31 2016-11-30 $111.79 $113.09 Long 253.0 1.16% 5053.24 33502.81
SPY 2016-11-30 2016-12-30 $201.77 $205.86 Long 141.0 2.03% 5029.17 34079.86
QQQ 2016-12-30 2017-08-31 $114.37 $141.81 Long 254.0 23.99% 5977.87 41049.54
UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 863.0 -4.79% 5715.96 39367.86
QQQ 2017-09-29 2017-11-30 $141.39 $150.82 Long 238.0 6.67% 6213.39 41612.10
SPY 2017-11-30 2017-12-29 $247.54 $250.54 Long 143.0 1.21% 6231.41 42039.95
QQQ 2017-12-29 2018-04-30 $151.73 $157.04 Long 236.0 3.50% 6283.16 43292.04
CYB 2018-04-30 2018-05-31 $26.30 $25.99 Long 1407.0 -1.17% 6349.67 42857.60
QQQ 2018-05-31 2018-10-31 $165.95 $166.35 Long 220.0 0.25% 6256.80 42947.60
UBT 2018-10-31 2019-06-28 $32.61 $45.17 Long 1125.0 38.51% 8447.50 57077.45
QQQ 2019-06-28 2019-07-31 $184.20 $188.51 Long 264.0 2.33% 8463.30 58212.86
UBT 2019-07-31 2019-11-29 $45.27 $50.39 Long 1099.0 11.32% 9310.14 63842.63
QQQ 2019-11-29 2020-01-31 $202.72 $217.00 Long 269.0 7.04% 9853.11 67682.86
UBT 2020-01-31 2020-06-30 $54.45 $66.78 Long 1062.0 22.63% 11831.12 80768.16
QQQ 2020-06-30 2021-02-26 $246.20 $313.39 Long 280.0 27.29% 14561.16 99580.38
SPY 2021-02-26 2021-06-30 $377.86 $428.06 Long 225.0 13.28% 16241.85 110874.66
QQQ 2021-06-30 2021-07-30 $354.43 $364.57 Long 267.0 2.86% 16671.33 113582.04
SPY 2021-07-30 2021-08-31 $438.51 $451.56 Long 221.0 2.98% 16919.19 116466.09

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
FX 0.90 0.85 QQQ 2021-08-31 Hold Long -0.43% EOM
momentum  FXA  FXB  FXC  FXE  FXF  FXY  CYB  SPY  QQQ  UBT